For over four decades, the Journal of Applied Probability has provided a forum for original research and reviews in applied probability. Its wide audience includes leading researchers in the many fields where stochastic models are used, including operations research, telecommunications, computer engineering, epidemiology, financial mathematics, information systems and traffic management.
Volume 42, Number 1
Publication Date: March 2005
Research Papers
Superreplication of options on several underlying assets
Erik Ekström, Svante Janson and Johan Tysk; 27-38
Asymptotic hitting time for a simple evolutionary model of protein folding
Véronique Ladret; 39-51
Level crossing ordering of skip-free-to-the-right continuous-time Markov chains
Fátima Ferreira and António Pacheco; 52-60
Tools to estimate the first passage time to a convex barrier
Ola Hammarlid; 61-81
Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process
K. Borovkov and A. Novikov; 82-92
Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts
Angelos Dassios and Ji-Wook Jang; 93-107
On optimality of bold play for primitive casinos in the presence of inflation
Robert W. Chen, Larry A. Shepp, Yi-Ching Yao and Cun-Hui Zhang; 121-137
Electronic foreign-exchange markets and passage events of independent subordinators
Matthias Winkel; 138-152
Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory
Christian Y. Robert; 153-162
On ultimate ruin in a delayed-claims risk model
Kam C. Yuen, Junyi Guo and Kai W. Ng; 163-174
On the extinction of a class of population-size-dependent bisexual branching processes
Yongsheng Xing and Yongjin Wang; 175-184
Extinction probability in a birth-death process with killing
Erik A. Van Doorn and Alexander I. Zeifman; 185-198
On the effect of finite buffer truncation in a two-node Jackson network
Yutaka Sakuma and Masakiyo Miyazawa; 199-222
Some time-dependent properties of symmetric M/G/1 queues
Offer Kella, Bert Zwart and Onno Boxma; 223-234
A transposition rule analysis based on a particle process
David Gamarnik and Petar Momčilović; 235-246
Short Communications
The large deviations of estimating rate functions
Ken Duffy and Anthony P. Metcalfe; 267-274
On finite moments of full busy periods of GI/G/c queues
Saeed Ghahramani and Ronald W. Wolff; 275-278
A note on branching random walks on finite sets
Thomas Mountford and Rinaldo B. Schinazi; 287-294
Correction: Transient analysis of state-dependent queueing networks via cumulant functions
T. I. Matis and R. M. Feldman; 302
Journal of Applied Probability
